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Autoregressive logistic processes

Published online by Cambridge University Press:  14 July 2016

Barry C. Arnold  and
C. A. Robertson
Barry C. Arnold
Affiliation:
University of California, Riverside
C. A. Robertson*
Affiliation:
University of California, Riverside
*
∗Postal address: Department of Statistics, University of California, Riverside, CA 92521, USA.
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Abstract

A stochastic model is presented which yields a stationary Markov process whose invariant distribution is logistic. The model is autoregressive in character and is closely related to the autoregressive Pareto processes introduced earlier by Yeh et al. (1988). The model may be constructed to have absolutely continuous joint distributions. Analogous higher-order autoregressive and moving average processes may be constructed.

Keywords

PARETO PROCESSAUTOREGRESSIVE PARETO PROCESS
Type
Research Papers
Information
Journal of Applied Probability , Volume 26 , Issue 3 , September 1989 , pp. 524 - 531
Copyright
Copyright © Applied Probability Trust 1989 

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References

Diebold, F. X. and Nerlove, M. (1986) A multivariate Arch model of foreign exchange rate determination. University of Pennsylvania, Department of Economics, Technical Report.Google Scholar
Johnson, N. L. and Kotz, S. (1970) Distributions in Statistics: Continuous Univariate Distribution, Vol. II. Wiley, New York.Google Scholar
Yeh, H. C., Arnold, B. C. and Robertson, C. A. (1988) Pareto processes. J. Appl. Prob. 25, 291–301.CrossRefGoogle Scholar